Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1660 |
| Annualized Std Dev | 0.3132 |
| Annualized Sharpe (Rf=0%) | -0.5299 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3212.0000 |
| NAs | 1.0000 |
| Minimum | -0.1562 |
| Quartile 1 | -0.0073 |
| Median | -0.0009 |
| Arithmetic Mean | -0.0005 |
| Geometric Mean | -0.0007 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1585 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0012 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0004 |
| Stdev | 0.0197 |
| Skewness | -0.1343 |
| Kurtosis | 14.2254 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0139 |
| Gain Deviation | 0.0165 |
| Loss Deviation | 0.0158 |
| Downside Deviation (MAR=210%) | 0.0186 |
| Downside Deviation (Rf=0%) | 0.0141 |
| Downside Deviation (0%) | 0.0141 |
| Maximum Drawdown | 0.9444 |
| Historical VaR (95%) | -0.0238 |
| Historical ES (95%) | -0.0486 |
| Modified VaR (95%) | -0.0281 |
| Modified ES (95%) | -0.0281 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-03-09 | 2021-03-12 | NA | -0.9444 | 3030 | 3024 | NA |
| 2008-11-21 | 2009-01-06 | 2009-03-05 | -0.3709 | 70 | 30 | 40 |
| 2008-07-16 | 2008-09-19 | 2008-10-09 | -0.3207 | 61 | 47 | 14 |
| 2008-10-28 | 2008-11-04 | 2008-11-12 | -0.2024 | 12 | 6 | 6 |
| 2008-10-10 | 2008-10-14 | 2008-10-27 | -0.1892 | 12 | 3 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | -0.8 | -1.1 | 0.4 | -3.6 | -5 | 15.9 | -2.9 | 1.4 |
| 2009 | 2.8 | 6 | -2.2 | 1.3 | -1.7 | 0.1 | -0.7 | 4.7 | 3.7 | 4.1 | -0.2 | 0.4 | 19.6 |
| 2010 | -1.4 | -0.3 | -0.9 | 2.4 | 2.1 | 0.6 | 0 | -3.8 | -0.8 | 0 | -2.1 | -0.1 | -4.3 |
| 2011 | -1.9 | 2 | -0.8 | 0.2 | 3.3 | -1.9 | 0.3 | 2.2 | 3.2 | 4.4 | 0.8 | 0.5 | 12.8 |
| 2012 | -1.6 | -1 | -0.3 | -0.9 | 3.6 | -2.5 | 0.8 | -0.5 | -0.4 | -1.1 | 0 | -1.3 | -5.4 |
| 2013 | -1.3 | -0.2 | 0.6 | 1.1 | 1.4 | -0.4 | -1.4 | 0.7 | -0.8 | -0.4 | 0.4 | -0.4 | -0.8 |
| 2014 | 1 | -0.5 | -0.4 | -0.1 | -0.2 | -0.9 | 0.7 | -0.3 | 1.1 | -1.3 | 0.5 | 1.2 | 0.7 |
| 2015 | 1.5 | 0.1 | 0.1 | -0.7 | -0.3 | -1.1 | 0.3 | 3.2 | -0.1 | 1.3 | -0.8 | 1 | 4.6 |
| 2016 | 0.1 | -3.2 | -0.6 | 0.4 | -0.1 | 0.1 | 0.4 | 0.4 | -0.9 | 0.9 | -0.9 | -0.5 | -3.9 |
| 2017 | 0.4 | -2 | 0.3 | -0.4 | -1.1 | -0.2 | -0.7 | -0.5 | -0.2 | -0.1 | -0.2 | 0.3 | -4.3 |
| 2018 | -0.5 | 1.3 | -1.1 | -0.3 | -1.1 | -0.3 | 0 | -0.1 | 0.1 | -0.6 | -0.9 | -0.4 | -3.7 |
| 2019 | -0.4 | -0.4 | -1.8 | 0.7 | 1 | -0.9 | 1.6 | -0.3 | 1.7 | -0.9 | 0.3 | -0.3 | 0.1 |
| 2020 | 2 | 2.1 | 6 | 3.1 | -1.1 | 0.2 | 0.3 | 0 | -0.7 | 0.3 | -1.5 | -1.2 | 9.5 |
| 2021 | -1.7 | -2 | 1.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -2.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-06-12 143. SPY 134. 0.0038 -0.045 -0.0429 0.0213 -0.115 0.119 0.340 GLD 85.6 -0.0163 -0.0098
2 2008-06-13 142. SPY 136. 0.0126 -0.001 -0.0328 0.0505 -0.109 0.129 0.353 GLD 85.8 0.0027 -0.0363
3 2008-06-17 140. SPY 136. -0.00480 -0.0027 -0.0497 0.0145 -0.113 0.120 0.334 GLD 87.2 0.0028 0.0199
4 2008-06-18 143. SPY 134. -0.0097 0.0023 -0.0615 0.0302 -0.124 0.106 0.321 GLD 88.3 0.0118 0.0145
5 2008-06-19 142. SPY 134. 0.0013 -0.0002 -0.0526 0.0177 -0.111 0.108 0.323 GLD 88.4 0.0016 0.0329
6 2008-06-20 145. SPY 132. -0.0161 -0.0287 -0.0519 -0.0183 -0.130 0.0894 0.322 GLD 89.0 0.006 0.0364
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
